SMOOTHING DAN ARIMA

TUGAS INDIVIDU

Diajukan Sebagai Satu Syarat Memenuhi Tugas Mata Kuliah

Analisis Kuantitatif pada Progam Studi Agribisnis
Fakultas Pertanian Universitas Jember

Oleh :
Jahrotul Mila
NIM.131510601012
J

PROGRAM STUDI AGRIBISNIS

FAKULTAS PERTANIAN
UNIVERSITAS JEMBER
2016

SOAL
1) Lakukan peramalan satu tahun ke depan menngunakan model terbaik dengan
metode Holt-Winters terhadap data jumlah touris.
2) Interpretasikan

dan

bandingkan

hasil

analisis/peramalan

dengan

menggunakan metode Holt-Winters.

3) Lakukan analisis peramalan dan interpretasikan Model ARIMA untuk data
Oil Price, tunjukkan model AR(1)MA(1) merupakan mode terbaik untuk data
d(log(oil price)).

1. Holt-Winters Noseasonal
Date: 06/04/16 Time: 09:48
Sample: 2004M01 2010M12
Included observations: 84
Method: Holt-Winters No Seasonal
Original Series: JUMLAHTOURIS
Forecast Series: NOSEA
Parameters:

Alpha
Beta
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:

0.1300
0.1000
2.29E+11
52262.77
Mean
Trend

427245.0
8197.258

NOSEA
450,000
400,000
350,000
300,000
250,000
200,000
150,000
2004

2005

2006

2007

2008

2009

2010

2. Holt-Winters Additive
Date: 06/04/16 Time: 09:49
Sample: 2004M01 2010M12
Included observations: 84
Method: Holt-Winters Additive Seasonal
Original Series: JUMLAHTOURIS
Forecast Series: ADDITIVE
Parameters:

Alpha
Beta
Gamma
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:

0.0600
0.3000
0.0000
1.52E+11
42482.19
Mean
Trend
Seasonals:

2010M01
2010M02
2010M03
2010M04
2010M05
2010M06
2010M07
2010M08
2010M09
2010M10
2010M11
2010M12

428402.4
9495.098
-3374.875
-53662.58
-43873.13
-20160.40
-4580.676
15656.91
57049.78
725.5092
22596.81
15162.25
2396.694
12063.71

ADDITIVE
450,000
400,000
350,000
300,000
250,000
200,000
150,000
100,000
2004

2005

2006

2007

2008

2009

2010

3. Holt-Winters Multiplicative
Date: 06/04/16 Time: 09:50
Sample: 2004M01 2010M12
Included observations: 84
Method: Holt-Winters Multiplicative Seasonal
Original Series: JUMLAHTOURIS
Forecast Series: MULTI
Parameters:

Alpha
Beta
Gamma
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:

0.2100
0.0000
0.0000
1.44E+11
41470.65
Mean
Trend
Seasonals:

2010M01
2010M02
2010M03
2010M04
2010M05
2010M06
2010M07
2010M08
2010M09
2010M10
2010M11
2010M12

394147.3
3018.700
0.997953
0.789660
0.839925
0.901280
0.964559
1.052506
1.235119
1.012740
1.040862
1.060120
1.046089
1.059188

MULTI
480,000
440,000
400,000
360,000
320,000
280,000
240,000
200,000
160,000
120,000
2004

2005

2006

2007

2008

2009

2010

Tabel Perbandingan Nilai Sum of Squared Residuals Metode Holt-Winters

Sum

of

Squared

Noseasonal
2.29

Additive
1.52

Multiplicative
1.44

Residuals
Berdasarkan nilai Sum of Residuals dari ketiga metode yaitu metode HoltWinters Noseasonal sebesar 2,29, metode Holt-Winters Additive sebesar 1,52 dan
model Holt-Winters Multiplicative sebesar 1,44. Artinya model yang terbaik untuk
digunakan dalam peramalan data jumlah touris yaitu model Holt-Winters
Multiplicative karena memiliki nilai Sum of Residuals terkecil sebesar 1,44.
Output Model Peramalan Smoothing
Date: 06/04/16 Time: 10:03
Sample: 2004M01 2010M12
Included observations: 84
Method: Holt-Winters Multiplicative Seasonal
Original Series: MULTI
Forecast Series: MULTI2
Parameters:

Alpha
Beta
Gamma
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:

0.8300
0.0800
0.0000
6.37E+09
8705.099
Mean
Trend
Seasonals:

2010M01
2010M02
2010M03
2010M04
2010M05
2010M06
2010M07
2010M08
2010M09
2010M10
2010M11
2010M12

411030.7
6474.483
1.007981
0.794100
0.841567
0.900299
0.962591
1.050058
1.232204
1.010251
1.038151
1.059192
1.045020
1.058586

MULTI2
600,000

500,000

400,000

300,000

200,000

100,000
2004

2005

2006

2007

2008

2009

2010

Output model ARIMA data jumlah touris

Null Hypothesis: D(MULTI2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 11 (Automatic - based on SIC, maxlag=11)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-1.697030
-4.072415
-3.464865
-3.158974

0.7440

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(MULTI2,2)
Method: Least Squares
Date: 06/09/16 Time: 12:36
Sample (adjusted): 2005M02 2011M12
Included observations: 83 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(MULTI2(-1))
D(MULTI2(-1),2)
D(MULTI2(-2),2)
D(MULTI2(-3),2)
D(MULTI2(-4),2)
D(MULTI2(-5),2)

-0.909555
-0.156763
-0.238804
-0.319958
-0.427298
-0.498251

0.535969
0.495909
0.454922
0.413346
0.371265
0.326943

-1.697030
-0.316113
-0.524934
-0.774069
-1.150924
-1.523972

0.0942
0.7529
0.6013
0.4415
0.2537
0.1321

2011

D(MULTI2(-6),2)
D(MULTI2(-7),2)
D(MULTI2(-8),2)
D(MULTI2(-9),2)
D(MULTI2(-10),2)
D(MULTI2(-11),2)
C
@TREND(2004M01)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

-0.560698
-0.672218
-0.775404
-0.868895
-0.940428
-1.020403
-1397.346
87.09594
0.959536
0.951912
11083.33
8.48E+09
-883.1008
125.8631
0.000000

0.286957
0.242336
0.198924
0.155575
0.112396
0.069679
3066.737
67.57911

-1.953948
-2.773908
-3.897987
-5.585045
-8.367100
-14.64442
-0.455646
1.288800

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.0548
0.0071
0.0002
0.0000
0.0000
0.0000
0.6501
0.2018
42.45646
50542.12
21.61689
22.02488
21.78080
1.799251

DLOGMULTI2
.3
.2
.1
.0
-.1
-.2
-.3
2004

2005

2006

2007

2008

2009

Tabel Perbandingan Nilai Sum of Squared Residuals

2010

2011

Sum

of

Squared

Smoothing
6.37

ARIMA
8.48

Residuals
Berdasarkan nilai Sum of Squared Residuals model peramalan smoothing
sebesar 6,37 dan nilai Sum of Squared Residuals model peramalan ARIMA
sebesar 8,48. Dimana nilai Sum of Squred Residuals model peramalan smoothing
lebih kecil dibandingkan dengan nilai Sum of Squared Residuals model peramalan
ARIMA artinya model peramalan smoothing merupakan model yang terba
Output Forecast (Hasil Peramalan Tahun 2011M01-2011M12)
2004M0

152837, 2007M0

220586,

451887,

1
2004M0

3 6
122697, 2007M0

6 2010M11
257319, 2010M12

4
455177.

2
2004M0

7 7
135294, 2007M0

5
212743, 2011M01

9
420837.

3
2004M0

3 8
150143, 2007M0

6
219280, 2011M02

1
336682.

4
2004M0

1 9
160126, 2007M1

7
227621, 2011M03

4
362256.

5
2004M0

6 0
173666,

3
219870, 2011M04

0
393366.

6
2004M0

3 2007M11
203401, 2007M1

2
239400, 2011M05

4
426816.

7
2004M0

5 2
2008M0

4
227307, 2011M06

0
472397.

8
2004M0

168814 1
178027, 2008M0

7
186144, 2011M07

5
562318.

9
2004M1

5 2
185174, 2008M0

3
199971, 2011M08

8
467571.

2 3
183686, 2008M0

9
218158, 2011M09

0
487205.

2004M11
2004M1

1 4
182847, 2008M0

2
2005M0

9 5
192720, 2008M0

241156,5

2 6

263608

2011M10

5
503937.

2011M11

8
503960.
8

2005M0

155759, 2008M0

2
2005M0

4 7
2008M0

3
2005M0

165345 8
181594, 2008M0

255568,1

4
2005M0

9 9
203824, 2008M1

268847,6

5
2005M0

2 0
223855,

278082,5

6
2005M0

4 2008M11
263556, 2008M1

264968,6

7
2005M0

9 2
215351, 2009M0

277250,8

8
2005M0

5 1
223172, 2009M0

255398,5

9
2005M1

3 2
231470, 2009M0

200564,8

1 3
230260, 2009M0

217330,2

2005M11
2005M1

5 4
224714, 2009M0

236492

2
2006M0

6 5
222602, 2009M0

264388,7

1
2006M0

6 6
171343, 2009M0

293675,3

2
2006M0

4 7
181883, 2009M0

354350,3

3
2006M0

5 8
195757, 2009M0

295289,7

4
2006M0

8 9
2009M1

304381,4

5
2006M0
6
2006M0
7

210511,7 0
232124,
4 2009M11
270626, 2009M1
8 2

309570, 2011M12
5

517356.
9

311066,1
318731,8
329425,5

2006M0

219890, 2010M0

8
2006M0

2 1
225175, 2010M0

310525,1

9
2006M1

9 2
232517, 2010M0

250059

6 3
226479, 2010M0

274644,1

6 4
2010M0

294866,2

2
2007M0

233771 5
226660, 2010M0

303741,5

1
2007M0

9 6
177253, 2010M0

357846,2

2
2007M0

2 7
183894, 2010M0

451160,4

3
2007M0

5 8
193057, 2010M0

390090,8

4
2007M0

8 9
204872, 2010M1

409923,8

7 0

419385,8

2006M11
2006M1

Grafik Hasil Peramalan

900,000

Forecast: MULTI2F
Actual: MULTI2
Forecast sample: 2004M01 2011M12
Adjusted sample: 2004M06 2011M12
Included observations: 91
Root Mean Squared Error 151855.5
Mean Absolute Error
116782.8
Mean Abs. Percent Error
36.11707
Theil Inequality Coefficient 0.334894
Bias Proportion
0.590464
Variance Proportion
0.405499
Covariance Proportion 0.004037

800,000
700,000
600,000
500,000
400,000
300,000
200,000
100,000
0
2004

2005

2006

2007
MULTI2F

2008

2009
2 S.E.

2010

2011

Output ARIMA data Oilprice

Null Hypothesis: D(OILPRICE) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=14)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-11.54035
-4.005076
-3.432682
-3.140127

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(OILPRICE,2)
Method: Least Squares
Date: 06/09/16 Time: 11:09
Sample (adjusted): 1993M03 2009M08
Included observations: 198 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(OILPRICE(-1))
C
@TREND(1993M01)

-0.811818
-0.151247
0.004742

0.070346
0.508767
0.004419

-11.54035
-0.297281
1.073105

0.0000
0.7666
0.2846

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.405815
0.399720
3.537787
2440.608
-529.6116
66.59018
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-6.94E-05
4.566199
5.379915
5.429738
5.400082
1.970367

OILPRICE
140
120
100
80
60
40
20
0
1994

1996

1998

2000

2002

2004

2006

2008

1. Berdasarkan output yang dihasilkan diketahui bahwa nilai statistik t

sebesar -11,5403 lebih besar dari nilai t pada tabel McKinon pada tingkat
kepercayaan 1%, 5%, dan 10%, serta nilai probabilitasnya 0.0000 yang
lebih kecil dari nilai kritik 0.05 (0.0000<0.05). artinya bahwa data telah
stasioner pada differensiasi tahap pertama (1st difference).
2. Berdasarkan output yang dihasilkan diketahui bahwa nilai Sum of Squared
Residuals sebesar 2440.608.
3. Berdasarkan output yang dihasilkan diketahui bahwa nilai Akaike Info
Criterion sebesar 5.379915.
4. Berdasarkan output yang dihasilkan diketahui bahwa nilai Schwarz
criterion sebesar 5.429738.

Null Hypothesis: D(DOILPRICE) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 5 (Automatic - based on SIC, maxlag=14)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-10.83493
-4.006566
-3.433401
-3.140550

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DOILPRICE,2)
Method: Least Squares
Date: 06/09/16 Time: 14:45
Sample (adjusted): 1993M09 2009M08
Included observations: 192 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(DOILPRICE(-1))
D(DOILPRICE(-1),2)
D(DOILPRICE(-2),2)
D(DOILPRICE(-3),2)
D(DOILPRICE(-4),2)
D(DOILPRICE(-5),2)
C
@TREND(1993M01)

-3.665212
2.057824
1.451854
1.043824
0.589075
0.315560
0.051986
-0.000506

0.338277
0.303410
0.252278
0.194303
0.130575
0.069957
0.578177
0.004925

-10.83493
6.782332
5.754984
5.372148
4.511381
4.510786
0.089914
-0.102825

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.9285
0.9182

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.764379
0.755415
3.781906
2631.718
-523.7543
85.27347
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-0.000189
7.647082
5.539107
5.674836
5.594078
2.044835

DOILPRICE
15
10
5
0
-5
-10
-15
-20
-25
-30
1994

1996

1998

2000

2002

2004

2006

2008

1. Berdasarkan output yang dihasilkan diketahui bahwa nilai statistik t sebesar

-10,83493 sudah lebih besar dari nilai t pada tabel McKinon pada tingkat
kepercayaan 1%, 5%, dan 10%, serta nilai probabilitasnya 0.0000 yang lebih
kecil dari nilai kritik 0.05 (0.0000<0.05). artinya bahwa data telah stasioner
pada differensiasi tahap pertama (1st difference).
2. Berdasarkan output yang dihasilkan diketahui bahwa nilai Sum of Squared
Residuals sebesar 2631.718.
3. Berdasarkan output yang dihasilkan diketahui bahwa nilai Akaike Info
Criterion sebesar 5.539107.
4. Berdasarkan output yang dihasilkan diketahui bahwa nilai Schwarz criterion
sebesar 5.674836.

Date: 06/09/16 Time: 11:20

Sample: 1993M01 2009M12

Included observations: 199
Autocorrelation
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Partial Correlation
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

AC

PAC

0.081
-0.070
0.036
-0.022
0.035
-0.043
0.040
-0.023
-0.071
0.174
0.150
-0.043
-0.138
-0.050
-0.095
-0.130
-0.075
-0.030
-0.089
0.060
-0.082
0.064
-0.090
-0.033
0.091
-0.110
-0.085
0.020
-0.117
0.024
0.005
-0.036
0.018
-0.024
0.141
0.120

0.081
-0.077
0.049
-0.036
0.047
-0.057
0.059
-0.047
-0.050
0.175
0.123
-0.048
-0.133
-0.037
-0.120
-0.107
-0.084
-0.029
-0.076
0.081
-0.177
0.094
-0.102
0.069
0.066
-0.047
-0.072
0.030
-0.176
-0.000
-0.046
-0.092
0.006
-0.052
0.115
0.068

Q-Stat
1.3102
2.2920
2.5631
2.6650
2.9114
3.2870
3.6124
3.7250
4.7939
11.183
16.000
16.399
20.511
21.058
23.034
26.725
27.945
28.147
29.903
30.697
32.217
33.150
34.992
35.245
37.141
39.914
41.591
41.685
44.897
45.035
45.040
45.358
45.432
45.577
50.416
53.942

Prob
0.252
0.318
0.464
0.615
0.714
0.772
0.823
0.881
0.852
0.343
0.141
0.174
0.083
0.100
0.083
0.045
0.046
0.060
0.053
0.059
0.056
0.060
0.052
0.065
0.056
0.040
0.036
0.046
0.030
0.038
0.049
0.059
0.073
0.089
0.044
0.028

Berdasarkan nilai Qstat dari masing-masing model yang lebih besar dari 0.05
artinya bahwah masing-masing model tersebut tidak signifikan atau model
tersebut tidak bisa mengatasi autokorelasi.

Dependent Variable: D(LOG(OILPRICE))

Method: Least Squares

Date: 06/09/16 Time: 11:27

Sample (adjusted): 1993M03 2009M08
Included observations: 198 after adjustments
Convergence achieved after 15 iterations
MA Backcast: 1993M02
Variable

Coefficient

Std. Error

t-Statistic

Prob.

AR(1)
MA(1)

-0.611861
0.726879

0.272589
0.236676

-2.244631
3.071204

0.0259
0.0024

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots
Inverted MA Roots

0.006818
0.001751
0.075098
1.105380
232.6698
2.011285

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.008929
0.075164
-2.329998
-2.296784
-2.316554

-.61
-.73

DLOGOILPRICE
.3
.2
.1
.0
-.1
-.2
-.3
1994

1996

1998

2000

2002

2004

2006

2008

1. Berdasarkan output AR1 diperoleh bahwa nilai probabilitas sebesar 0.0259

karena nilai AR1<0.05 maka model AR1 fit.
2. Berdasarkan output MA1 diperoleh bahwa nilai probabilitas sebesar 0.0024
karena nilai MA1<0.05 maka model MA1 fit.

3. Berdasarkan output yang dihasilkan bahwa nilai diperoleh nilai Sum of

Squared Residuals sebesar 1.105380.
4. Berdasarkan output yang dihasilkan bahwa nilai diperoleh nilai Akaike Info
Criterion sebesar -2.329998.
5. Berdasarkan output yang dihasilkan bahwa nilai diperoleh nilai Schwarz
criterion sebesar -2.296784
Tabel Perbandingan Nilai Sum of Squared Residuals, Akaike Info Criterion,
dan Schwarz Criterion
Oil Price
DOil Price
AR1MA1
Sum of Squared Residuals
2440.608
2631.718
1.105380
Akaike Info Criterion
5.379915
5.539107
-2.329998
Schwarz Criterion
5.429738
5.674836
-2.296784
Berdasarkan nilai dari Sum of Squared Residuals, Akaike Info Criterion dan
Schwarz Criterion dari masing-masing variabel nilai variabel AR1MA1 memiliki
nilai terkecil, hal ini menunjukkan bahwa variabel AR1MA1 merupakan model
yang terbaik.
KESIMPULAN :
1. Berdasarkan output smoothing data jumlah touris dari penggunaan metode
Holt-Winters Noseasonal, Holt-Winters Noseasonal, dan Holt-Winters
Multiplicative, metode yang paling baik untuk digunakan dalam melakukan
peramalan adalah metode Holt-Winters Multiplicative hal ini dikarenakan
nilai Sum of Squared Residuals dari metode Holt-Winters Multiplicative
merupakan nilai terkecil dibandingkan dengan metode lainnya.
2. Berdasarkan output yang dihasilkan dari peramalan smoothing untuk data oil
price, apabila metode smoothing dibandingkan dengan metode ARIMA
metode smoothing merupakan metode yang paling baik digunakan untuk
peramalan data jumlah touris.
3. Berdasarkan output yang dihasilkan untuk data oil price menunjukkan bahwa
model AR(1)MA(1) merupakan model yang terbaik untuk data d(log(oil
price)). Hal ini dilahat berdasarkan nilai Sum of Squared Residuals, Akaike
Info Criterion, dan Schwarz Criterion.